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Fixed Income Investing : A Classic in a Time of Increased Uncertainty
Poufinas, Thomas - 2022
1. Introduction -- 2. Bonds -- 3. Term Structure -- 4. Fixed Income Portfolio Management -- 5. Interest Rate … Derivatives -- 6. Credit Derivatives -- 7. Bond Markets -- 8. Bond Funds -- 9. Risks and Risk Management -- 10. Bonds and Crises … -- 11. Bonds and Debt -- 12. Bonds vs. Stocks -- 13. Hedging, Speculation and Arbitrage -- 14. Bonds and Regulation. …
Persistent link: https://www.econbiz.de/10013170811
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The impact of pensions and insurance on global yield curves
Greenwood, Robin; Vissing-Jørgensen, Annette - 2018
increases. These effects extend beyond long government bonds. Our results suggest that pension discount rules can have a …
Persistent link: https://www.econbiz.de/10011931879
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Disaggregation and the equity premium puzzle
Wilson, Matthew S. - In: Journal of empirical finance 58 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012430446
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Forecasting the term structure of interest rates with dynamic constrained smoothing B-splines
Mineo, Eduardo; Alencar, Airlane Pereira; Moura, Marcelo; … - In: Journal of Risk and Financial Management 13 (2020) 4, pp. 1-14
The Nelson&Siegel framework published by Diebold and Li created an important benchmark and originated several works in the literature of forecasting the term structure of interest rates. However, these frameworks were built on the top of a parametric curve model that may lead to poor fitting for...
Persistent link: https://www.econbiz.de/10012611294
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Bond risk premia and Gaussian term structure models
Feunou, Bruno; Fontaine, Jean-Sébastien - 2014
Cochrane and Piazzesi (2005) show that (i) lagged forward rates improve the predictability of annual bond returns, adding to current forward rates, and that (ii) a Markovian model for monthly forward rates cannot generate the pattern of predictability in annual returns. These results stand as a...
Persistent link: https://www.econbiz.de/10010344936
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Power law bond price and yield approximation
Barber, Joel R. - In: The journal of risk finance : JRF 23 (2022) 1, pp. 14-31
Persistent link: https://www.econbiz.de/10012797857
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Expectation-driven term structure of equity and bond yields
Zeng, Ming; Zhao, Guihai - 2022 - Last updated: May 11, 2022
Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield...
Persistent link: https://www.econbiz.de/10013193433
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Correlation regimes in international equity and bond returns
Aslanidis, Nektarios; Martinez, Oscar - In: Economic modelling 97 (2021), pp. 397-410
Persistent link: https://www.econbiz.de/10012793476
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Unsecured credit supply risk and bond prices
Mabille, Pierre - 2020
Persistent link: https://www.econbiz.de/10012322336
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Forecasting the term structure of interest rates with dynamic constrained smoothing B-splines
Mineo, Eduardo; Alencar, Airlane Pereira; Moura, Marcelo; … - In: Journal of risk and financial management : JRFM 13 (2020) 4/65, pp. 1-14
The Nelson&Siegel framework published by Diebold and Li created an important benchmark and originated several works in the literature of forecasting the term structure of interest rates. However, these frameworks were built on the top of a parametric curve model that may lead to poor fitting for...
Persistent link: https://www.econbiz.de/10012302519